Changelog

For an overview of new features and improvements, refer to the What’s New page. For information on upgrading from previous versions, see the FRTB Accelerator Migration Notes

3.1.1

2021-08-30

Known issues

  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

  • Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.

  • Update 2021-09-02: The CSR non-Sec Curvature Risk Position calculations may return incorrect results for CRR2 if the “Parameter Set” hierarchy is included on the rows or columns of the query. In this case, the accelerator will mistakenly treat bucket 16 as the “other” bucket, instead of bucket 18. Similarly for CSR Sec CTP.

  • Real-time queries are not updated with changes to the static data overrides.

Dependency versions

Component Version
ActivePivot 5.9.6
ActiveUI 4.3.17
Data Connectors 1.2.2
Java JDK11
What-if 1.5.0
accelerator-sdk 4.1.1

Summary

  • Improved support for CRR2:

    • Three different interpretations of the zero risk-weight exposures for DRC non-Sec (see CRR2 DRC non-Sec Risk Weights)
    • Ability to turn off the 3-month floor for DRC non-Sec maturity scaling when offsetting (see CRR2 DRC non-Sec Maturity Scaling 3-Month Floor)
    • Added “risk-class Delta Sensitivities” measures to the imported measure variations (as the sum of the Long and Short imported measures)
    • Performance improvements for DRC non-Sec queries

Distribution

To access the distribution folder, click here.

Or, to download the distribution files individually, click the links below:

Migration Guide

See the migration guide for details.

Change Log

Issue Key Details
FRTB-2245 Add support for three different interpretations of zero risk-weight exposures for DRC non-Sec (CRR2)
FRTB-2228 Add support for turning off 3-month floor for DRC non-Sec maturity scaling when offsetting (CRR2)
FRTB-2241 Add “Delta Sensitivities” measures (sum of long and short) to imported measure variations
FRTB-2254 DRC non-Sec performance improvements

Bug Fixes

Issue Key Details
FRTB-2239 Fix Curvature risk-weights when overriding buckets
FRTB-2220 Add missing stores to CrifTuplePublisher.getTargetStores()
FRTB-2260 Add missing stores to DefaultRiskChargeTuplePublisher.getTargetStores()
FRTB-2219 Added missing import of FRTBRestServicesConfig to FRTBConfig
GENACL-481 Added patched accelerator-sdk for multiple content server support

3.1.0+1

2021-08-03
For directions to download the distribution files, click here

Known issues

  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

  • Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.

  • Update 2021-09-02: The CSR non-Sec Curvature Risk Position calculations may return incorrect results for CRR2 if the “Parameter Set” hierarchy is included on the rows or columns of the query. In this case, the accelerator will mistakenly treat bucket 16 as the “other” bucket, instead of bucket 18. Similarly for CSR Sec CTP.

  • Real-time queries are not updated with changes to the static data overrides.

  • DLC Rest endpoints are not exposed by default. FRTBConfig must include FRTBRestServicesConfig.class in order to expose these REST endpoints.

Summary

  • FRTB 3.1 introduced a bug so that it was not possible to save dashboards. This has been fixed with this release and you can now save dashboards.

3.1

If you are moving to FRTB 3.1 from a previous version, you should upgrade to FRTB 3.1.0+1 instead as it contains a UI patch fixing the ability to save dashboards.

2021-06-25
For directions to download the distribution files, click here

Known issues

  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

  • Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.

  • Update 2021-09-02: The CSR non-Sec Curvature Risk Position calculations may return incorrect results for CRR2 if the “Parameter Set” hierarchy is included on the rows or columns of the query. In this case, the accelerator will mistakenly treat bucket 16 as the “other” bucket, instead of bucket 18. Similarly for CSR Sec CTP.

  • Real-time queries are not updated with changes to the static data overrides.

Dependency versions

Component Version
ActivePivot 5.9.6
ActiveUI 4.3.17
Data Connectors 1.2.2
Java JDK11
What-if 1.5.0
accelerator-sdk 4.1.1

Summary

SA DRC Data Model Changes

The SA DRC data model has been improved to support trades that have multiple maturities for the same obligor, for example, indices, and to facilitate the multi-jurisdictional support.

  • The SA DRC data model is now more aligned with the SBM data model (i.e. with a risk-factor and underlying).
  • The fields required to calculate the Gross JTD remain specific to the sensitivity.
  • The sensitivity now includes a risk-factor reference. The risk-factor (from the SBM) is now used for the maturity, the seniority (DRC non-Sec), and for identifying the obligor or tranche.
  • The obligor and tranche descriptions are mostly unchanged.

The DRC input files have changed slightly in that the “obligor” and “tranche” fields have been replaced with “risk-factor” and “underlying” fields. As with the SBM, the risk-factor field is optional and will be populated in the ETL if not provided.

RRAO Data Model Changes

The RRAO data model has been improved to facilitate the multi-jurisdictional support.

An optional “RRAO Category” field has been added to the trade attributes file. This category is not used directly in the calculations, but is used to identify the set of RRAO attributes for the trade, i.e. if the trade has RRAO, if the trade is exotic (or not). For example, the instrument type could be used as the category.

The RRAO Category also represents the key for jurisdiction-based modification of the RRAO attributes. For example, if a particular instrument type qualifies for RRAO in one jurisdiction but not another. Additionally, the flag for RRAO inclusion is now exposed in the cube.

Direct Bucket Mappings

An optional “bucket” column has been added to the sensitivities files, and to the UnderlyingDescription store. This allows the SBM (and DRC Sec non-CTP) underlyings to be mapped directly to buckets.

If this column is not filled, the bucket will be determined (during the ETL) from the other fields (e.g. sector, market cap, rating, etc). Additionally, if the bucket is provided, then these other fields become optional and can be filled (during the ETL) based on the bucket.

Support for Subsidiaries

CRR2 specifies when positions may be netted between different legal entities. When this netting does not apply, the capital charges must be calculated independently and added together for reporting.

The accelerator now supports this through two mechanisms.

  • Netting Sets allows for the sensitivities to be kept separate and for the capital charges to be calculated independently per netting set.
  • Imported Values allows for the capital charges to be calculated in an independent system and imported into the accelerator to be included in the reporting.

Currently, subsidiary support only applies to the SA calculations.

Because this feature was designed for the CRR2 reporting, the list of measures to which it applies are the ones requested in the CRR2 reporting template.

Netting Sets

A new (optional) file maps Legal Entities (and hence all sensitivities) to “netting sets”. The capital charges can be calculated independently for each netting set and summed.

Imported Capital Charges

A new (optional) file allows values to be imported for inclusion in the cube for reporting purposes. Each imported value is identified by legal entity and measures name. Each value will be added to the capital charge calculations whenever the corresponding legal entity is included.

This functionality is designed for reporting purposes, and the imported values do not appear when drilling in or drilling down on calculations.

Static Data Overrides

Some of the static data used to describe the risk factors can now be changed per jurisdiction.

The data which can be overridden includes:

  • SBM: The underlying description (identified by Underlying), including the new bucket column.
  • DRC non-Sec: The obligor description (identified by obligor id).
  • DRC Sec non-CTP: The tranche description (identified by tranche id), including the new bucket column.
  • RRAO: The new RRAO description (identified by the new RRAO category), including the new flag for RRAO inclusion.

Migration Guide

See the migration guide for details.

Change Log

Features

Issue Key Details
FRTB-1900 SA DRC data model improvements
FRTB-2158 Map underlyings directly to buckets
FRTB-1948 Support for CRR2 reporting with subsidiaries (netting sets and imported values)
FRTB-2125 Support alternative underlying descriptions (including bucketing) using overrides

Added

Issue Key Details
FRTB-2016 Add drillthrough columns to properly display sensitivity vectors
FRTB-2097 Integrate APM (ActivePivot Monitoring)
FRTB-2172 Improved support for additional datastore and cube configuration using Spring beans
FRTB-2122 Added flag for disabling the IMA cubes

Changed

Issue Key Details
FRTB-2165 Upgrade Data Connectors to 1.2.2
FRTB-2026 Increased use of Acclerators common library
FRTB-2104 Change IMA liquidity horizon gap filling from datastore listener to DLC topic
FRTB-2204 Performance improvements converting SA DRC maturity to scaling factor

Fixed

Issue Key Details
FRTB-2157 Entries in SA DRC Trade file with null maturity are no longer skipped
FRTB-2163 DRCBase store is now properly unloaded in DLC
FRTB-2122 Removed unwanted filters in Admin user’s UI settings.
FRTB-2126 Removed old context values from bookmarks
FRTB-2154 Fixed ActiveMonitor support in CustomActivePivotConfig

Documentation

The User and Reference Guides have been consolidated into one User & Reference Guide, which now includes the What’s New page, a high-level overview of the current release’s new functionality.

Security

None

3.0.1

2021-04-28
For directions to download the distribution files, click here

Known issues

  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

  • Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.

  • In order to ensure proper connection of the UI to the AP Server, the ActivePivotServicesConfig.class must be replaced with APMActivePivotServicesConfig.class in the configuration imports of FRTBConfig.java You can find an example FRTBConfig file on our artifactory page.

Summary

  • Data-Connectors upgraded to 1.2.0 to resolve concurrency issues with DLC.

Added

None

Changed

  • Data-Connectors upgraded to from 1.1.0 to 1.2.0

Removed

None

Fixed

Issue Key Details
FRTB-2148 Fixed Concurrent DLC operations resulting in NPE

Security

None

3.0.0

2021-03-19
For directions to download the distribution files, click here

Known issues

  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

  • Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.

  • FRTB-2148 Concurrent DLC operations result in NPEs.

Summary

  • IMA Performance improvements
  • Upgrade to ActivePivot 5.9 and accelerator-sdk 4.1.0
  • Replaced XML Cube Configuration
  • Integrated Data Connectors component (which includes the Data Load Controller (DLC) and Data Extract Engine (DEE))
  • Additional CRR2 support
  • Documentation on extending the Accelerator

Replaced XML Cube Configuration

The XML configuration of the ActivePivot Cube schemas and hierarchies has been replaced by ActivePivot’s fluent API java configuration. As part of this, some properties file configuration has been added to more easily modify the configuration for different environments.

See the migration guide for details.

Negative Values in Square Root in Risk Charge Formula

In some cases it is possible to have a negative value inside the square root of the SBM Delta and Vega Risk Charge formula MAR 21.4 (5). And, this can occur even with the alternative Sb and Sc values from MAR 21.4 (5) (b). For example, this can happen for Equity Delta in the high correlation scenario, see test class EquityDeltaNegEVIT.java for example sensitivities.

In this release, the value inside this square root is now floored at zero (after trying the MAR 21.4 (5) (b) alternative). This is a similar treatment to the Risk Position formula in MAR 21.4 (4).

CRR2 Support

For details on CRR2 support see the CRR2 page. The following items have been added for supporting CRR2.

Issue Key Details
FRTB-2065 Support for DRC non-Sec adjustments
FRTB-2037 Add BGN and HRK to CRR2 ERM II currencies (FX risk-weight overrides)
FRTB-2066 Add flag to exclude GIRR inflation and cross-currency basis curves when dividing major currency risk weights by sqrt 2.
FRTB-2018 Add support for scaling SBM sensitivities to support CRR2 underwriting
FRTB-2072 Replace Adjunct Currencies with FX risk-weight overrides and GIRR correlation overrides

Added

Issue Key Details
FRTB-1996 Add customisation for sparse vector block size
FRTB-2068 Parameterize cube configuration
FRTB-2040 Swap capability for DRC IMA
FRTB-2047 Add configuration option to change FX sensitivity translation scale factor
FRTB-2085 Parameterize the column name in the Trade Attributes file that is used as the RRAO flag
FRTB-1959 Support STC for SEC-ERBA risk weights (DRC Sec non-CTP)
FRTB-1975 Support loading DRC risk weights at the obligor/tranche level

Changed

Issue Key Details
FRTB-2058 Support negative values in square root in Risk Charge formula
FRTB-2039 Move cube description from xml to java configuration
FRTB-2023 Update ISDA unit tests to v3.1.0
FRTB-2019 Change default behavior: FXComplexDelta=Y
FRTB-2012 Upgrade to ActivePivot 5.9
FRTB-2045 Improve trigger for building the book and legal entity hierarchies
FRTB-1963 Replace unit-test framework for post-processors
FRTB-2057 Integrate Data Connectors (including DLC upgrade)
FRTB-2089 Upgrade UI to accelerator-sdk 4.1.0

Fixed

Issue Key Details
FRTB-2077 Fix startup sequence for query nodes, so that ReferenceCurrency context value can be used
FRTB-2041 Long IMCC startup
FRTB-2042 High heap usage for DRC load
FRTB-2083 FRTB-IMA PLSummaryCube - Lookback issues
FRTB-2059 Fix concurrency issue that caused Data Load Controller to freeze
FRTB-2027 Fix IllegalArgumentException: Unknown value for level FX Curvature Divider Eligibility: Y
FRTB-2069 Missing entries in Parameters Widget
FRTB-2030 UI Parameter Set widget broken with Kerberos Integration
FRTB-2048 SA DRC data is not being scaled in the Trade Scaling What-If

Documentation

Issue Key Details
FRTB-2022 List of key fields for Equity risk factors is incorrect
FRTB-1968 Topics on extending the Accelerator

Security

None

2.4.1

2021-08-30 Download the distribution files here

Known issues

  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
  • Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.

Summary

  • Support for https protocol when sharing bookmark URL’s through bookmark tree.
  • Support for multiple content servers when sharing bookmark URL’s through bookmark tree.
  • Support for multiple content servers when sharing bookmark URL’s through File submenu.

Fixed

Issue Key Details
GENACL-481 Added support for multiple content servers.

2.4.0

2020-12-10
Download the distribution files here

Known issues

  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
  • Update 2021-10-08: The FX Delta Sensitivities Long/Short measures (used for CRR2 reporting), do not work properly if you are using FX sensitivity translations.

IMA Performance Regression

The addition of the Aggregate Provider configuration for the IMA cube in InternalModelApproachCube.xml can have a significant impact on performance, both in load times and query performance. If you have not customized your Aggregate Provider configuration and are using the default configuration, we recommend you revert to the 2.3.0 configuration. i.e. remove the <aggregateProvider>…</aggregateProvider> clause from InternalModelApproachCube.xml.

Summary

  • ISDA Unit Tests and CRIF: Added ISDA unit tests and support for FRTB-SA CRIF file format.
  • CRR2 Support: Added Long/Short Sensitivity measures for EBA reporting template and support for PLAT Yellow and Orange zones.
  • SBM performance improvements: By converting the correlation matrix into a block diagonal form (with a block per Underlying) and using multi-threaded matrix multiplication.

Added

Issue Key Details
FRTB-1891 Long and Short Delta Sensitivity measures have been added for each risk class.
FRTB-1924 Expose DRC Sec non-CTP Region and Asset Class in the SA Cube
FRTB-860 SBM performance improvements
FRTB-1879 Allow configurable PLA Zones (including CRR2 Yellow and Orange zones).
FRTB-1951 Update ISDA FRTB-SA Unit Tests to 2.5.1
FRTB-1883 Support sparse vectors for IMA DRC summary cube
FRTB-1996 Configuration for use of sparse vectors
FRTB-1997 Configuration of DRC risk weights for CRR2

Changed

Issue Key Details
FRTB-1938 FX Vega Buckets are based on currency pair, instead of a single currency
FRTB-1956 Improve aggregates provider configuration, for better default (untuned) performance
FRTB-1961 Set default timeout for queries to 5 minutes
FRTB-1972 Upgraded to AP 5.8.15
FRTB-1933 Use Spring resolvers for content service DB
FRTB-1932 Support for additional key fields in the sensitivity vectorization
FRTB-1949 Updated CRIF file format to match ISDA FRTB-SA format
FRTB-1969 The UI has been upgraded to ActiveUI 4.3.13 and Accelerators SDK 3.3.0-AUI4.3.13.

Removed

Issue Key Details
FRTB-1910 Remove unused IMA History store (and corresponding ETL)
FRTB-1861 Hide Vector-valued measures

Fixed

Issue Key Details
FRTB-1960 NullPointerException when parsing missing dates
FRTB-1942 FX Curvature Delta sensitivities being dropped, when divider is not used but curvature prices set divider flag
FRTB-1973 Fix NullPointerException in Curvature Sb calculation at underlying level
FRTB-1947 Duplicates in store list for ETL TuplePublishers
FRTB-1944 Sensitivities from CRIF do not load when Risk Factor is empty

Documentation

Issue Key Details
FRTB-1867 Improve documentation of underlying fields for SBM
FRTB-1787 Improve Datastore Schema documentation
FRTB-1976 Clarify GIRR Curvature Delta documentation
FRTB-1978 Document new SBM matrix multiplication
FRTB-1980 Update documentation on DRC seniority
FRTB-1873 Rename risk factor fields in sample files

Security

None

2.3.0

2020-06-05

Download the distribution files here

Known issues

In the UI, the Display as Columns menu item is showing up as “invalid”, moreover once selected there is no way to return to the Tree layout.
Internal reference: FRTB-1914
Status: Open
Last updated: 2020-09-20

Documentation landing page

On the documentation landing page, the Latest updates - activeviam.com link points to the 2.2.0 documentation instead of 2.3.0. The correct link is https://artifacts.activeviam.com/documentation/accelerators/frtb/2.3.0/online-help/documentation-measures/
Internal reference: FRTB-1917
Status: Fixed
Last updated: 2020-09-20

Added

Issue key Details
FRTB-1648 Added ES (ModelVariation) measure (and 12 week average) to monitor how well the reduced set of risk factor explains the variation in the full set of risk factors (must be at least 75%).
FRTB-1878 Added SBM Correlation Scenario measure, which can take values "low", "medium", or "high", depending on which correlation scenario is used for the SBM Risk Charge.
FRTB-1850 Added support for CRR2 ERM II (i.e. DKK)currencies (adjunct currencies)

Changed

Issue key Details
FRTB-1337 By default, SA DRC now uses A/365 for converting maturities to a year fraction.
FRTB-1865 DRC non-Sec performance improvement. Reduced the number of times the maturity is parsed (converted from string to year-fraction) at query time.
FRTB-1819 Upgraded to ActivePivot version 5.8.8
FRTB-1846 Upgraded to latest version of DLC
FRTB-1844 For FX complex trades (FXComplexDelta=Y in the delta sensitivities file), the FXDivider field is now optional and, if not provided, will be filled from FXOtherCcy
FRTB-1894 The UI has been upgraded to ActiveUI 4.3.7 and Accelerators SDK 3.0.0-AUI4.3.7.
FRTB-1769 Use customizable datastore references in IMADatastoreConfig
FRTB-871 The following IMA context values have been replaced by parameters in the FRTBParameters.csv file:
ES, T, VaRConfidence, rho (IMCC) and rho (SES)

Removed

Issue key Details
FRTB-1809 Removed Obligor and Seniority from IMA DRC Summary cube (including input files)
FRTB-1831 Removed some CSR Sec CTP configuration (for example the bucket level gamma correlations). Where BCBS 457 refers to CSR non-Sec for the CSR Sec CTP calculations, the accelerator uses the CSR non-Sec configuration.
FRTB-1352 The following fields were removed from the datastore and cube: Commodity Time, Commodity Route, Commodity Grade, CSR Tranche. They are still present in the input file format, but are ignored.

Fixed

Issue key Details
FRTB-1811 Fixed bug when loading delta stripped curvature files and not loading any delta sensitivities.
FRTB-1875 Fixed out-by-one error which shifted all the IMA DRC scenarios by one when expanding the P&L values along the DRC Scenarios hierarchy.
FRTB-1801 Fixed Euler capital allocation for Delta and Vega "other" buckets.
FRTB-1783 Fixed Equity Vega Risk Weight measure for buckets 11 and 13

Security

No issues

2.2.1

2020-03-20 Download the distribution files here

Known issues

Breaking change: ActivePivot incompatibility with latest OpenJDK

WARNING! ActivePivot 5.8.7 (and all earlier versions) are incompatible with the latest version of OpenJDK 11 (Version 11.0.6, released 2020-01-15).  This is due to a breaking change in OpenJDK (JDK-8211919)

Added

None

Changed

Issue Key Details
FRTB-1857 React test scripts were updated to prevent hanging during testing phase.
FRTB-1856 Upgraded dependencies to ActiveUI 4.3.5 and Accelerator SDK 2.3.0-AUI4.3.5.
FRTB-1855 What-if book move widget now uses the correct container key.
FRTB-1853 Several custom actions that were using hardcoded level names have been updated to use settings.\The following keys and defaults are part of the frtb-sdk library:
"frtb.trade-level.name": "TradeId"
"frtb.desk-level.name": "Desk"
"frtb.as-of-date-level.name": "AsOfDate"
FRTB-1851 The react-scripts library has been upgraded to version 3.4.0 to fix bug with 'yarn start'.
FRTB-1832 Improved testing framework to remove intermittent integration test failures.
FRTB-1818 Stop filling Liquidity Horizon gaps for SES data (dataset column is empty) only apply the LH gap filling to IMCC data (dataset column is not empty).

Removed

None

Fixed

Issue Key Details
FRTB-1863 Fixed "Unknown Action" appearing in Popup Menu
FRTB-1843 Fixed store list retrieval for Datastore Viewer
FRTB-1840 Workaround issue in surefire testing by sending test output for files. Use -Dmaven.test.redirectTestOutputToFile=false on maven command line to send output to console instead.
FRTB-1838 Fixed CSV Source configuration properties not being picked up
FRTB-1835 Fixed incorrect calculation of Kolmogorov-Smirnov (KS) test metric.
FRTB-1830 Fixed ERBA BB- risk weight used in sample data configuration file
FRTB-1821 Fixed What-If Security Manager authorization
FRTB-1822 Fixed calculation error in commodity curvature, when the "other commodity" bucket contained more than one risk factor.

Security

None

2.2.0

2020-01-17

Download the distribution files here

Added

Issue Key Details
FRTB-1800 Added support for multiple GIRR inflation curves per bucket (with 99.9% correlation).
FRTB-1217 Added IMADRCSummary cube for historical IMA DRC data. IMA DRC is not calculated as the greater of the most recent DRC risk charge and the average of the DRC Risk charge over the previous 12 weeks as per MAR33.22.
FRTB-1763 Added IMA DRC capital requirement bookmark, demonstrating aggregation of DRC VaR from simulate PL data and computation of IMA DRC average over the past 12 weeks
FRTB-1775 Added support for highly rated covered bonds to CSR non-Sec Curvature
FRTB-1730 Added support for jdk11, when building select "jdk11" profile (i.e. -P jdk11).
FRTB-1733 Added Scenario Rank measures (expanded along the scenario hierarchies), to help with analytics on the P&L vectors. These measures represent the rank of the P&L values.
FRTB-1720 Added SBM Implementation and Interpretation documentation

Changed

Issue Key Details
FRTB-1779 Updated GIRR Vega calculation for Basis and Inflation curves to match ISDA interpretation of [MAR21.93] and [MAR21.94]
FRTB-1729 Imported common ActiveViam accelerator library and moved some functionality to this library.
FRTB-1751 Upgraded to ActivePivot 5.8.4
FRTB-1732 Upgraded to ActiveUI 4.3
FRTB-1761 Hide risk position measures for analysis levels.
FRTB-1735 Improved DLC event handling, to support ETL auditing.
FRTB-1406 Maturity Scaling Factor measure now also works for DRC Sec non-CTP
FRTB-1731 Upgraded to ActiveUI 4.3.1 and structure of the UI changed to be consistent with Monorepo
FRTB-1760 Special bucket configuration is moved into parameter sets (index and other buckets, CSR non-Sec covered bonds bucket). See corresponding parameters in the FRTBParameters.csv file.
FRTB-1569 Improved the data normalization by splitting the MarketDataDescription store into two: RiskFactorDescription and UnderlyingDescription. The risk-factor description includes the underlying and a few other fields that represent the other (non-underlying) dimensions of the risk-factor (e.g. type: spot vs repo, bond vs CDS, or commodity location). The underlying description is now shared between Delta, Vega, and Curvature, and describes the underlying (e.g. curve type, market cap, sector, rating). As part of this split, some cube levels have been renamed. Additionally the "Market Type" level has been split into "Risk Factor Type" (for equity and CSR) and "CIRR Curve Type" (for GIRR).
FRTB-1609 The risk-factor cube level is now no longer directly used by the post-processors in calculations. Instead the underlying level and other relevant levels (e.g. type) are now consistently used as the post-processor leaf levels.
FRTB-1643 Improved data normalization during the ETL, to avoid duplicate key warnings when underlying data is repeated in multiple files.
FRTB-1722 Re-added automated integration tests based on queries extracted from bookmarks.
FRTB-1652 In sample data, set RiskFactorCCy fields to empty for FX sensitivities (these fields were ignored).

Removed

Issue Key Details
FRTB-896 The following context values have been replaced by parameters in the FRTBParameters.csv file:
CorrelationHighStress, CorrelationLowStress, FxMajorCcyPairAdjustment, GIRRMajorCurrencyAdjustment, ExoticResidualRiskWeight, NonExoticResidualRiskWeight

Fixed

Issue Key Details
FRTB-1784 Fixed Equity Vega risk weights for index and other buckets.
FRTB-1773 Fixed rho correlation for CSR non-Sec Vega index buckets
FRTB-1778 Fixed SEC-ERBA (long term, senior) BB- risk weight
FRTB-1723 Fixed NaN results when changing org hierarchy in what-if

Security

None

2.1.0

2019-09-09

Download the distribution files here

Added

Issue Key Details
FRTB-1567 Added post-processor error handling API. The error handling in post-processors can now be overridden by replacing the errorHandler Spring bean (in FRTBPostProcessorConfig) with an alternative implementation of PostProcessorErrorHandler.
FRTB-1650 A new analysis hierarchy has been added (DRC Scenario@DRC Scenarios@Risk) to the IMADRCCube. It's populated by the ScenarioId field of the DRCScenarios store. The new hierarchy is used by the DRC PnL Expand measure, it's expanding the PnL values along the scenarios.
FRTB-1636 A new level has been added to the cube, TradeDate@TradeDates@Dates. It gets its value from the "Trade Date" column of the Trade_Attributes.csv file. This field shall contain trade date to be used for analytical purposes. No calculations or post-processors currently depend on it.
FRTB-1368 Create a deployment .zip file when building accelerator

Changed

Issue Key Details
FRTB-1601 The CSR Tranche field is now ignored. For CSR Sec non-CTP, the Underlying field should be used to identify the tranche (as well as the underlying asset pool).
FRTB-1646 FX Delta calculations now assume there is only a single FX Delta risk-factor per bucket. If multiple risk-factors are found (due to the base-currency and jurisdictional translations), the sensitivities from these risk factors are combined when calculating the FX Delta Risk Position.
FRTB-1301 Reporting server waits until bookmark is fully loaded before taking screenshot
FRTB-1634 Changed default Epoch Policy from Keep All to Keep Last. Old epochs are now garbage collected.
FRTB-1612 DoctorPivot accessible at /frtb-starter/doctorpivot, now also linked directly from ActiveUI settings popover.
FRTB-1611 The content server ui is now available at .../frtb-starter/content/ui/index.html
FRTB-1602 Upgraded to ActivePivot 5.8.2-jdk8
FRTB-1604 Integrated Data Load Controller to manage loading (and unloading) data via a REST service.
FRTB-1605 Migrated to Spring Boot to deploy using executable JAR file instead of a WAR file.

Removed

None

Fixed

Issue Key Details
FRTB-1653 Fixed display of FX Delta sensitivities when matching with FX Curvature shocked prices.
FRTB-1654 Fixed Optionality=Y filter not working for FX risk class correctly.
FRTB-1663 Fixed performance issue when loading IMCC data
FRTB-1666 Fixed CORS configuration forAc tiveMonitor
FRTB-1628 Fixed error when filtering tables in the DS Viewer widget.
FRTB-1673 Fixed NullPointerException when evaluating the Portfolio Risk Charge numerical Euler calculations at the trade level.

Security

None

2.0.1

2019-08-28

Download the distribution files here

Added

None

Changed

Issue Key Details
FRTB-1646 FX Delta calculations now assume there is only a single FX Delta risk-factor per bucket. If multiple risk-factors are found (due to the base-currency and jurisdictional translations), the sensitivities from these risk factors are combined when calculating the FX Delta Risk Position.
FRTB-1301 Reporting server waits until bookmark is fully loaded before taking screenshot.
FRTB-1612 DoctorPivot accessible at /frtb-starter/doctorpivot, now also linked directly from ActiveUI settings popover.
FRTB-1611 The content server ui is now available at .../frtb-starter/content/ui/index.html
FRTB-1652 In sample data, set RiskFactorCCy fields to empty for FX sensitivities (these fields were ignored).
FRTB-1675 Updated Gross JTD validation bookmarks to use correct measures.

Removed

None

Fixed

Issue Key Details
FRTB-1653 Fixed display of FX Delta sensitivities when matching with FX Curvature shocked prices.
FRTB-1654 Fixed Optionality=Y filter not working for FX risk class correctly
FRTB-1663 Fixed performance issue when loading IMCC data
FRTB-1628 Fixed error when filtering tables in the DS Viewer widget.
FRTB-1673 Fixed NullPointerException when evaluating the Portfolio Risk Charge numerical Euler calculations at the trade level.

Security

None

2.0.0

2019-05-13

Download the distribution files here

Added

Issue Key BCBS Reference Details
FRTB-1446 [MAR32.36]to [MAR32.38] Added measure and kpi for the Kolmogorov-Smirnov test metric defined in [MAR32.39] to [MAR32.41].
FRTB-1445 [MAR32.39] to [MAR32.41] Added measure and kpi for the Spearman correlation metric defined in [MAR32.36] to [MAR32.38].
FRTB-1336 Added custom parsers for DRCBase store’s Maturity field. Added custom parsers for the FRTBParameter store’s Value field.
FRTB-1409 Added configuration option to set the maximum number of pending discoveries: maxPendingDiscoveries=6.
FRTB-1548 Added necessary dependencies for the spreadsheet services Excel add-in.
FRTB-1409 Added qfs.distribution.maxPendingDiscoveries configuration option for frtb.properties to help avoid distribution issues at startup (and in automated tests).
FRTB-1336 Added custom parsers for DRCBase store’s Maturity field. Added custom parsers for the FRTBParameter store’s Value field.
FRTB-1540 Added risk class column to GIRR Buckets store and use RiskFactorCcy + asOfDate + riskClass -> GIRR Bucket mapping to avoid FX facts being associated to GIRR buckets.
FRTB-1463 Added rewritten DoctorPivot (API and web app), replacing previous interface
FRTB-1305 Added What-If widget for Parameter Set manipulation

Changed

Issue Key BCBS Reference Details
FRTB-1543 [MAR21.14] Refactored and added improvements to the FX calculations to support the base currency approach. Brief description of the new model:
Two types of FX Delta inputs are accepted:
1. Complex trades - FxComplexDelta=Y:
* input line is filtered by FxCounterCcy=reporting/base currency condition (similar to FX Curvature inputs)
* FxOtherCcy field is ignored
* ReferenceToReportingCcy flag must be provided (defaults to “N” if left empty) for the FX Curvature Divider to be applied correctly.(Can be omitted if the divider is not used.)
2. Simple trades - FxComplexDelta=N (or FxComplexDelta column left empty)
a. base currency approach is not used:
* if the FxCounterCcy is not the reporting currency, an input of CCY1|CCY2 is split to original risk (CCY1|reportingCcy) and funding risk(CCY2|reportingCcy)
* Fx divider eligibility is determined at query time by checking if the trade is referencing the reporting currency. FxOtherCcy column can be used to specify the other half of the currency pair referenced originally by the trade in case it’s not the underlying+FxCounterCcy.
b. base currency approach is used:
* if FxCounterCcy is not the base currency, an input of CCY1|CCY2 is split to original risk (CCY1|baseCcy), funding risk (CCY2|baseCcy) and translation risk (reportingCcy|baseCcy)
* Fx divider eligibility is determined at query time by checking if the trade is referencing the base currency. FxOtherCcy column can be used to specify the other half of the currency pair referenced originally by the trade in case it’s not the underlying+FxCounterCcy.
FRTB-1061 Supporting providing GIRR Delta sensitivities for inflation/basis curves without sensitivity dates.
FRTB-1439 [MAR33.43] to [MAR33.45] Updated Aggregated Capital Charge measure as defined in [MAR33.43] to [MAR33.45]
FRTB-1411 All liquidity horizons from table 1 in [MAR33.4] are used when filling gaps during ETL. Previously gaps will filled only for those liquidity horizons specific to the risk class (see table 2 in [MAR33.12]). For example, previously when filling gaps, no P&L vectors with LH=10 were added for CSR, now they are.
FRTB-1438 [MAR33.16] and [MAR33.17] The SES calculations have been updated for the new formulas in BCBS 457. The non -modellable idiosyncratic risk factors now have a risk class of CSR or Equity.
FRTB-1521 Updated generated FX Curvature Risk Factor to be underlying counterCcy to allow multiple lines of inputs for the same trade per reporting currency.
FRTB-1459 [MAR21.53] footnote [17] Optionally use a different risk weight for CSR non-Sec covered bonds with high rating.
FRTB-1419 Don’t create IMA DRC Linear fact (row in DRCIMABase) if recovery rates or recovery values aren’t provided.
FRTB-1578 The DRC non-Sec LGD measure no longer requires the trade level in the cube location to work.
FRTB-1416 Improved flexibility of SBM risk weight measures to display values when enough cube levels to uniquely specify the risk weight are used.
FRTB-1532 Improved performance for sparse vectors (used by IMA DRC linear recovery values)
FRTB-1442 Remove unwanted log messages
FRTB-1061 The input file format no longer requires a vertex for GIRR Delta inflation and basis curve sensitivities.
FRTB-1527 Upgraded ActiveUI to 4.2.10
FRTB-1573 Increased ActiveUI default quantity of search results to 30

Removed

None

Fixed

Issue Key BCBS Reference Details
FRTB-1496 Fixed trade scale what-if use case to work correctly with IMADRC measure.
FRTB-1519 Fixed threading bug when loading IMA DRC linear vectors
FRTB-1485 Fixed bookmark import/export for empty folders and special characters

Security

None

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